SPI Equity Curve 4/12/08

SPI closed equity curve attached, up to 4th Dec 2008

SPI Equity Curve 4/12/08

 

Closed Equity Chart 4/12/08

Closed Equity chart to 4/12/08

 

Closed Equity Chart 4/12/08

Closed Equity chart to 4/12/08

 

SPI Trades Update 04/12/2008

Well, I have been busy this last month with work, been to Newcastle & back for work to visit a coal mine in the hunter valley with my job as a contract process engineer. Carbon Credits and coal bed methane are part of the new environmental rage these days in Australia.

Update for last month is attached. Have to say one trade was a slight disaster & another sub-system has bit the dust, once again I relied on too few trades to accept the system & suffered for it. I actually hit a system stop at about 300 points & exited early, if I had not, I would have had double the loss.

I have to take back what I said in beginning about not having a stop, I don’t have a set stop per say, I use limit orders with a target which adjusts for various reasons to exit including an assessment of whether the price action indicates the trade is wrong. Sometimes this means the limit order gets me out next open. In addition I do have a disaster or system stop when evaluating the performance just in case the system fails (as in this case) - I look at the maximum expected drawdown from testing, if it approaches that, I check the system responsible & exit if required.

While the total return is still excellent, that drawdown is not! So I can admit a mistake, that system is in the bin. One bad trade really hurts the Win/Loss ratio. This also is what trading mean reversion can be like, a lot of good trades but an occasional outlier can bite.

One thing I have done is reduce risk even further, I now trade ASX SPI CFD for $1 Points while I am forward testing. These are not too bad but I do have to be at open once again as the ASX CFDs are a new market & liquidity is low, so limit orders at open do NOT work, the market maker just hits your order not the actual SPI open price.

Ticker	Trade	Date	Price	Ex. date	Ex. Price	Points	Comment
SPIM_CCB	Long	30/09/2008	4494	1/10/2008	4885	391
SPIM_CCB	Short	2/10/2008	4875	3/10/2008	4670	205
SPIM_CCB	Long	6/10/2008	4575	7/10/2008	4685	110
SPIM_CCB	Long	7/10/2008	4420	7/10/2008	4685	265
SPIM_CCB	Long	10/10/2008	4080	14/10/2008	4500	420
SPIM_CCB	Short	14/10/2008	4500	16/10/2008	4055	445
SPIM_CCB	Long	24/10/2008	3903	29/10/2008	3980	77
SPIM_CCB	Short	30/10/2008	3917	6/11/2008	4176	-259
SPIM_CCB	Short	3/11/2008	4121	6/11/2008	4176	-55
SPIM_CCB	Short	5/11/2008	4330	6/11/2008	4176	154
SPIM_CCB	Long	11/11/2008	3980	21/11/2008	3600	-380	System Stop
SPIM_CCB	Long	20/11/2008	3405	21/11/2008	3434	29
SPIM_CCB	Long	21/11/2008	3240	21/11/2008	3434	194

Total	1596
No Win	10
No Loss	3
Total	13
Win %	77%
Avg Win	229
Avg Loss	-231
W/L	0.99
Expectancy	123

SPI Trades on Chart 11-11-08

 

SPI System Update 11-11-2008

Ticker	Trade	Date	Price	Ex. date	Ex. Price	Points
SPIM_CCB	Long	30/09/2008	4494	1/10/2008	4885	391
SPIM_CCB	Short	2/10/2008	4875	3/10/2008	4670	205
SPIM_CCB	Long	6/10/2008	4575	7/10/2008	4685	110
SPIM_CCB	Long	7/10/2008	4420	7/10/2008	4685	265
SPIM_CCB	Long	10/10/2008	4080	14/10/2008	4500	420
SPIM_CCB	Short	14/10/2008	4500	16/10/2008	4055	445
SPIM_CCB	Long	24/10/2008	3903	29/10/2008	3980	77
SPIM_CCB	Short	30/10/2008	3917	6/11/2008	4176	-259
SPIM_CCB	Short	3/11/2008	4121	6/11/2008	4176	-55
SPIM_CCB	Short	5/11/2008	4330	6/11/2008	4176	154
SPIM_CCB	Open Short	11/11/2008	4018	11/11/2008	3993	25
SPIM_CCB	Open Long	11/11/2008	3980	11/11/2008	3993	13

 

New trades since last update shaded

 

Statistics

Total	1791
No Win	10
No Loss	2
Total	12
Win %	83%
Avg Win	211
Avg Loss	-314
W/L	0.67
Expectancy	123

 

Comments - the system experienced a very large intra trade drawdown on that losing trade which was more than a tad annoying.  On review I found I had included a model with a very small trade size (about 12) which was obviously curve fitted to the recent short market.  Removing that model would have reduced the total return but W/L ratio increased & open drawdown decreased significantly.  Lesson of the day - don't get too greedy & curve fit data!

SPI Closed Trade List Oct-08

Summary of trades this month.

 

A good month with all profitable trades. 

 

This sounds good, but remember this is a mean reversion system so we do have open trade drawdown.  The table shows the max adverse excursion in points for the open trade (day session only) which was up to -180 points for one trade.  Not everyone’s cup of tea and I keep reiterating its only one system of a number I trade and position sizing must be kept low.

 

Cheers, Dave

 

 

SPI trade Exited 29-Oct on open

Trade exited today at open 3980, P/L + 77 points

 

 

SPI Trade update 27-Oct-08

SPI trade update, entered on Friday at 3903.  Target exit today at 4052.  I notice this is high of last 2 days so will be target tomorrow as well after which it will drop to today’s high (3878 at this stage 1pm ).

 

Potential entry today 3753.

Dave

 

Interactive Brokers

After reviewing this for some time and recommended by The Chartist I have just opened an account with Interactive brokers.  The commission on US stocks is pretty nice after trialling US trade with a CFD provider (at $15 min & 4 cents per shares its a fair rip off in comparison).

The margin at 50% should be ok, I typically keep my risk low with average cfd margin of 25% anyway.

Opened just in time to kick off 2 trades last night from Chartist, lets hope they keep going!

Dave

SPI Model update Oct14

Quick update, the exit according to the old rules would have been this morning at open. Funnily enough, the overall trade is very profitable, but with large intraday drawdown. Yes the market did bounce but you would have had to live thru the last few days volatility, hence my original comment that the position sizing must be kept very low for this kind of trading.

SPI Signals 13 Oct

Trade signals on AB chart, (new model).  If I hadn't changed the model and exited manually I would still be in long position a few days ago with a large intrade drawdown, not good.  Seems to me I definately needed to adjust the exit conditions for this extreme volatility.  Should work on a stop or other exit rule I think, just in case.  As I said earlier the SPI had never traded this large range, but perhaps in my model development I should ask a few more 'what-if' questions and develop scenarios, some to think about anyway.

 

A new trade Friday, exited today

 

SPI Entered Friday 10-Oct 4080

SPI Exited Monday 13-Oct 4144, total + 64 points

 

I didn't trade this one on Friday after seeing the volatility so I sat out unfortunately. I entered a manual CFD trade this morning to at least catch part of the trade playing the break off the open:

 

IG Dec SPI CFD Entered 4137.5, Pyramid Entry 4198.

IG Dec SPI CFD Exited both at 4220.5, total points +105.5

 

It seems a pretty regular pattern really.  A really large sell off causes a discrepency between the SPI & cash index so the open rallies up for a while.  A similar thing occurs on an overnight rally up.  If the model gives a signal to enter is seems to be a pretty good short term trade.

 

Dave

 

9 Oct - revised model equity

Revised version...wish I had that one.

Dave

Update 9 Oct

Well the last few days are still down & old model would not have exited.  Exit target tomorrow is yesterday's high of 4493. 

 

I reviewed the SPI data & found this week had:

1. Largest postive percentage Open-Close range in history and largest Points range since 1987 crash
2. Largest High-Low range (points & %) since 1987

Crazy times.  What annoyed me a little/lot is the range is higher than anything I tested & I considered another exit rule based on 5 or 6 % profit target but up till a few weeks ago it never got hit. If I was using that I would have been out for a massive profit.  Personally after the crazy overight action & since I consider this a training period, I exited early in case we were in for bath again today.  Didn't happen but I'd rather conserve capital.  I have decided that letting a profit go isn't great so am adding the percent target exit in now.

 

Will post a chart of both versions.

 

dave

SPI trade 7-oct 2 pm

Position Update 10 am 7-Oct

Trade	L/S	Entry	Exit	Entry	Exit/Last	Target	P/L
CLOSED	L	05/09/08	09/09/08	4,847	5,107	4,923	-    260
CLOSED	S	22/09/08	24/09/08	4,997	4,982	4,923	15
CLOSED	L	30/09/08	30/09/08	4,500	4,725	4,725	-    225
OPEN	L	06/10/08	07/10/08	4,575	4,451	4,766	124
OPEN	L	07/10/08	07/10/08	4,433	4,451	4,766	-      19

Trade Log 7-Oct

Wow, how about the volatility last night. Another trigger today, enter at Limit 4575 so probably enter at open today. Lets hope we rally off open!

Recent Signals on chart

Latest trade 6-Oct

Trade entered today. Another signal tomorrow & potential entry if market drops again.

Code	Trade	L/S	Sys	Entry Date	Exit Date	Entry Price	Exit Price	Target
ASX-SP200	CLOSED	Long	MR	05/09/2008	09/09/2008	$ 4,847.00	$ 5,107.00	$ 4,923.00
ASX-SP200	CLOSED	Short	MR	22/09/2008	24/09/2008	$ 4,997.00	$ 4,982.00	$ 4,923.00
ASX-SP200	CLOSED	Long	MR	30/09/2008	30/09/2008	$ 4,500.00	$ 4,725.00	$ 4,725.00
ASX-SP200	OPEN	Long	MR	06/10/2008	07/10/2008	$ 4,575.00	$ 4,566.00	$ 4,766.00

Latest equity curve

Latest equity curve, added 1 more system.

Recent SPI Trades

Heres a pic of the last 3 trades triggered since I started the system

How am I trading this system? At the moment a full SPI is too large for me so I emulate with a SPI Forward contract with IG markets. It gets pretty close but you have to manually set the trades as there is no open auction of course for a cfd.

L/S	Entry Date	Exit Date	Entry Price	Exit Price	Points P/L
Long	05/09/2008	09/09/2008	4,847	5,107	260
Short	22/09/2008	24/09/2008	4,997	4,982	15
Long	30/09/2008	30/09/2008	4,500	4,725	225

Comments...if you look at the chart I should have waited until this morning to exit, I admit I was a bit concerned about the open profit last night after a record explosion on the SPI from open. It is the first day to reach a 5 % profit in 1 day so I closed early. As it turns out I should have waited until morning for another 100 Points!! It would have been the largest profit on the system since 1993! O well, better follow the system next time!